Alternative computational approaches to inference in the multinomial probit model

John Geweke, Michael Keane () and David E. Runkle

No 170, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: This research compares several approaches to inference in the multinomial probit model, based on Monte-Carlo results for a seven choice model. The experiment compares the simulated maximum likelihood estimator using the GHK recursive probability simulator, the method of simulated moments estimator using the GHK recursive simulator and kernel-smoothed frequency simulators, and posterior means using a Gibbs sampling-data augmentation algorithm. Each estimator is applied in nine different models, which have from 1 to 40 free parameters. The performance of all estimators is found to be satisfactory. However, the results indicate that the method of simulated moments estimator with the kernel-smoothed frequency simulator does not perform quite as well as the other three methods. Among those three, the Gibbs sampling-data augmentation algorithm appears to have a slight overall edge, with the relative performance of MSM and SML based on the GHK simulator difficult to determine.

Keywords: Econometric; models (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (180)

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Journal Article: Alternative Computational Approaches to Inference in the Multinomial Probit Model (1994)
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